[ENH] Add TargetTransform and DistrPredictiveCalibration for probabilistic regression#988
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arnavk23 wants to merge 7 commits intosktime:mainfrom
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[ENH] Add TargetTransform and DistrPredictiveCalibration for probabilistic regression#988arnavk23 wants to merge 7 commits intosktime:mainfrom
TargetTransform and DistrPredictiveCalibration for probabilistic regression#988arnavk23 wants to merge 7 commits intosktime:mainfrom
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…mutation from dummy calibrators for test compatibility
TargetTransform and DistrPredictiveCalibration pipeline elements for probabilistic regressionTargetTransform and DistrPredictiveCalibration for probabilistic regression
Restored estimator test-params coverage for DistrPredictiveCalibration Added a second explicit calibrator class and returned two parameter sets from get_test_params: Fixed plotting test backend issue on Windows/headless Forced matplotlib to use Agg inside the plotting test and closed figures to avoid backend/Tk leakage
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Reference Issues/PRs
Towards #7
What does this implement/fix? Explain your changes.
This PR adds two probabilistic regression pipeline wrappers:
TargetTransformfits a regressor on a transformed target and inverse-transforms predictions back to the original target scale.DistrPredictiveCalibrationwraps a probabilistic regressor and applies a calibrator to its predicted distributions.Does your contribution introduce a new dependency? If yes, which one?
No.
What should a reviewer concentrate their feedback on?
TargetTransform, specially for distribution location and scale.DistrPredictiveCalibrationapplies calibration at the right points in the prediction flow.Did you add any tests for the change?
Added tests that verify:
TargetTransformwithStandardScalercorrectly inverse-transforms predictive distributions.DistrPredictiveCalibrationactually changes the predicted distribution. Calibration also affects quantile predictions.Any other comments?
PR checklist
For all contributions
For new estimators
docs/source/api_reference/taskname.rst, follow the pattern.Examplessection.python_dependenciestag and ensureddependency isolation, see the estimator dependencies guide.